OBJ files are for static meshes only. Like I said, they support vertices, UVsets, normals, primitive lists (index arrays for the vertices), and references to the textures and material used.
I've found that, for exporting from the 3D modeling software, a good choice may be COLLADA (.dae), and FBX. COLLADA is ASCII and has XML syntax, and FBX can be in either binary or ASCII. I think the best way to go is to export in an easily readable ASCII format like COLLADA or ASCII FBX and then write a converter to make a binary version of your files in a custom file format that best suits your engine and project, since loading ASCII files as your final import will be burdensome, and loading binary files will impede development due to their content being harder to read.
Both COLLADA and FBX aim to support a full scene export, including skeletal animation, as well as lights, materials etc. .
Yes, rastertek has less material for OpenGL at the moment, I just linked the section where OpenGL initialization and static mesh rendering are covered, as asked by lmsmi1.
Well, there are plenty of good sources for 3D modeling, although -- especially when first starting out -- , it may be helpful to decide on a software that's convenient for you, because there are several differences in the user interface between 3ds Max, Blender, Maya, XSI, Lightwave, etc . Once you settle on your software, you can start learning about modeling based on that program (and you can always migrate on a different one later on). Also, 3D modeling for games has a few differences in the fact that you have to pay much closer attention to your number of primitives (due to real-time rendering), and that youy'll most likely want to export triangulated meshes.
I've found The Gnomon Workshop's material invaluable over the years, I am more familiar with Autodesk Maya and am getting increasingly familiar with 3ds Max at the moment. For free tutorials, I don't have some available off the top of my head although there's some great stuff on youtube etc. (and it'll help finding them so long as you search for techniques for your software of choice, rather than generally). How about this, from a brief search: